DUAL PRECISION COMPUTE FOR MONTE CARLO SIMULATION

摘要

Embodiments disclosed herein relate to systems, methods, and computer program products for a dual precision compute system for determining a price of a financial instrument using a Monte Carlo simulation. The system, method, and computer program product are configured to determine a model for calculating a price for a financial instrument using a Monte Carlo simulation; determine variables associated with the financial instrument; conduct a first portion of the Monte Carlo simulation with the variables using a first level precision; conduct a second portion of the Monte Carlo simulation with the variables using a second level precision, wherein the second level precision is higher than the first level precision; and determine the price of the financial instrument from the model. The first level precision may be a single precision floating point format and the second level precision may be a double precision floating point format.

主权项

1. A dual precision compute system for Monte Carlo simulation, the system comprising:
a computing device processor; a storage device; and a dual precision compute Monte Carlo application stored in said storage device and configured for operation on said computing device processor, said application configured to:
determine a model for calculating a price for a financial instrument using a Monte Carlo simulation;determine variables associated with the financial instrument;conduct a first portion of the Monte Carlo simulation with the variables using a first level precision;conduct a second portion of the Monte Carlo simulation with the variables using a second level precision, wherein the second level precision is higher than the first level precision; anddetermine the price of the financial instrument from the model.